本研究使用台灣經濟新報資料庫，運用日內逐筆交易資料建立日內情緒指標Buy Sell Imbalance(BSI)，並使用外資、投信、自營商買賣張及融資融券資料，建立法人及散戶情緒指標，將Fama-French三因子模型加入不同投資人的情緒變數，探討各類型投資人間情緒效果對於股價超額報酬率的影響，另使用週及月的資料進行迴歸分析，並建構各類型投資人的情緒期間結構。整體而言，法人的樂觀情緒對於報酬率的影響為正向，並且當法人較為樂觀時，散戶情緒則較為悲觀，顯示機構法人與散戶有對作的現象，並且機構投資人對於市場看法較為正確，散戶則多數時間無法在股市中獲得超額報酬，而三大法人的情緒期間結構大致上為負斜率並隨時間遞減，散戶情緒期間結構則為正斜率並隨時間遞增，代表投資人的情緒效果多為短期現象。

This paper uses Taiwan Economic Journal (TEJ) database to analyze different investors sentiment effect on stock returns. We use intraday transaction data to construct intraday buy-sell order imbalance (BSI). We construct the domestic and foreign institutional investors' BSI by computing their net buy-sell order position. This paper applies Fama-French three-factors model and adds BSI terms to examine the relationship between investors sentiment and excess return among institutional investors and retail investors. Moreover, we establish the term structure of investors sentiment effect. The results show that the foreign institutional investors and domestic mutual funds have positive sentiment effect on stock returns for all periodical samples. The domestic dealers have a negative sentiment effect on stock excess returns on daily data but positive on weekly and monthly data. The retail investors have negative sentiment effect on stock returns for all periodical samples. The term structure of sentiment effect on stock excess returns for institutional investors is downward-sloping, implying that the sentiment effect is short-lived. However, the term structure of sentiment effect for retail investors is upward-sloping.

中文摘要 i
英文摘要 ii
第一章 緒論 1
第一節 前言 1
第二節 研究動機 3
第三節 研究目的 3
第四節 研究架構 4
第二章 文獻回顧 5
第三章 資料描述及敘述統計 16
第四章 模型設定 21
第一節 變數設定 21
第二節 固定效果模式線性迴歸模型 22
第五章 實證分析 23
第一節 固定效果模式線性迴歸模型 23
第二節 情緒期間結構 32
第六章 結論 37
第七章 參考文獻 40

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